Nothing
#******************************************************************************
#* +------------------------------------------------------------------------+ *
#* | Function 'nl.hetro', cllasic estimate of a nonlinear function. | *
#* | with hetro variance model function. | *
#* | generalized | *
#* | Note: becarefull to using this function when there is not outlier, it | *
#* | may not work witout outlier, in this case better to use nlmest | *
#* | the problem is in part of two (p2) in hessian its big here. | *
#* | argumnts: | *
#* | formula: 'nl.form' object, the function mode. | *
#* | data: data, contains dependents and independents, | *
#* | data.frame, list or named matrix it can be. | *
#* | start: starting values, it must contains 'sigma', selstart | *
#* | for nl.form object is not created yet, take cre of it. | *
#* | varfnc: var function, it must be nl.form of variance models | *
#* | tau: starting value of tau. if is null the stored value in | *
#* | vardnc object of nl.form will be stored. | *
#* | ...: can be entries for robust loss function parameters. | *
#* | | *
#* | Important Note: variance must be a product function in sigma, i.e. | *
#* | varfunc = sigma^2 * h(f,tau) | *
#* | in feature the general form will be added. | *
#* +------------------------------------------------------------------------+ *
#******************************************************************************
nl.hetro <- function(formula, data, start=getInitial(formula,data),
control=nlr.control(tolerance=0.000010, minlanda=1 / 2 ^ 10, maxiter=25 * length(start)),varmodel,tau=NULL,... ){
#on.exit(print(stage2$parameters),frame=1)
tolerance <- control$tolerance
maxiter <- control$maxiter
minlanda <- control$minlanda
trace <- control$trace
FT <- NULL
stage1 <- nlsqr(formula, data=data, start=start, control=control)
if(is.Fault(stage1)){
print ("stage 1 hetro is fault")
stage1 <- nlsnm(formula=formula,data=data,start=start,control=nlr.control(tolerance=tolerance,maxiter=10*maxiter,minlanda=minlanda),...)
if(is.Fault(stage1)) return(stage1)
}
ri <- residuals(stage1)
nrp <- nonrepl(list(x=data[[formula$independent]],y=data[[formula$dependent]]))
z <- zvalues(ri,nrp$ni,nrp$xo) #[nrp$xm] # variance z=zi , si^2 #
data2 <- NULL
#*********************** stage 2.....................
if(is.null(tau))
if(is.null(varmodel$selfStart)) start.tau <- varmodel$par # in R only [[2]] is different with splus
else{
data2 <- NULL
data2[[varmodel$dependent]] <- z[nrp$xm]
if(is.null(data[[varmodel$independent]]))
data2[[varmodel$independent]] <- predict(stage1,newdata=stage1$data)[nrp$xm]
start.tau <- getInitial(varmodel,data2)
}
else start.tau <- tau
stage2 <- optim.NLM(objfnc=loss.chis,data=data,start=start.tau,formula=formula,theta=stage1$parameters,
varmodel=varmodel,control=control,...)
if(is.Fault(stage2)){ # || stage2$parameters$sg < 0){
print("in stage 2 of nl_hetro first try failed with start.tau")
stage2 <- optim.WF(objfnc=loss.chis,data=data,start=start.tau,formula=formula,theta=stage1$parameters,
varmodel=varmodel,control=control,...)
if(is.Fault(stage2)){
stage2 <- optim.NM(objfnc=loss.chis,data=data,start=start.tau,formula=formula,theta=stage1$parameters,
varmodel=varmodel,control=control,...)
print("error stage 2 hetro")
if(is.Fault(stage2)) return(stage2)
}
}
# if(stage2$parameters$sg < 0) return(Fault(FN=19))
# ***************** stage 3 .....................
ps <- stage1$parameters
# ps$sigma <- stage2$parameters$sg
vc <- as.numeric(stage2$objfnc$varcomp$predictor)
gvar <- vc#/stage2$parameters$sg^2
vmat <- diag(gvar)
rmat <- diag(1.0/sqrt(gvar))
stage3 <- nlsqr.gn(formula, data=data, start=ps,control=nlr.control(minlanda=minlanda,maxiter=maxiter*3,tolerance=tolerance)
,vm=vmat,rm=rmat)
if(is.Faultwarn(stage3)){
ps <- start
# ps["sigma"] <- stage2$parameters$sg
stage3 <- nlsqr.gn(formula, data=data, start=ps,control=nlr.control(minlanda=minlanda,maxiter=maxiter*20,tolerance=tolerance)
,vm=vmat,rm=rmat)
FT <- "in nl.hetro stage 3 first try failed will try with another imnitial value"
if(is.Fault(stage3)){
stage3 <- nlsnm(formula, data=data, start=ps,control=control,vm=vmat,rm=rmat)
}
if(is.Fault(stage3)) return(stage3)
}
result <- stage3
result@method = fittmethod(methodID= 4,
methodBR= 14,
detailBR= "Modified Newton",
subroutine= "nl.hetro")
result@hetro<-nl.fitt(
parameters= stage2$parameters,
form= varmodel,
predictor = stage2$objfnc$varcomp$predictor,
response = stage2$objfnc$zi,
history = stage2$history,
method = fittmethod(methodID= 4,
methodBR= 14,
detailBR= "Modified Newton",
subroutine= "optim.NLM"),
data = stage2$objfnc$vcmdata,
sourcefnc = stage2$objfnc$sourcefnc,
Fault = Fault(FT=FT),
others = list(refvar=stage2$objfnc$refvar))
return(result)
}
#+#################################################################################+
#| |
#| End of the object 'nl.hetro' |
#| |
#| Sep 2009 |
#| |
#| Hossein Riazoshams, UPM, INSPEM |
#| |
#+#################################################################################+
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